Distributed Lags, Aggregation and Compounding: Some Econometric Implications

Pravin Trivedi

The Review of Economic Studies, 1985, vol. 52, issue 1, 19-35

Abstract: This paper considers the aggregation of discrete distributed lags in the spirit of Houthakker and Johansen. Well-known distributed lag models in econometrics are shown to arise from aggregation across heterogeneous microeconomic units. The technique of analysis is based on the statistical theory of compound distributions. The paper goes on to consider how consistently estimated macro distributed lags may be decomposed into two components which represent, respectively, the microeconomic response and the heterogeneity in that response. Related problems of identification and estimation and the interpretive value of the approach are also discussed and illustrations provided.

Date: 1985
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